Much of the action takes places around Washington DC as Danes tries to locate Lewis's character before he can launch a terror attack.
Boardwalk Empire is the hit HBO series set in Atlantic City at the time of prohibition and stars Steve Buscemi.
Michelle Obama, the First Lady, told People magazine that the family rarely sit down together for an evening in from of the TV.
"We don't watch TV with him," she said. The First couple said that they are finally able to record shows after having a DVR installed in their private quarters.
"We're a little behind," Mr Obama said.
Mr Obama also said that they do not allow daughters Malia, 13, and Sasha, 13, to have Facebook accounts.
"Why would we want to have a whole bunch of people who we don't know knowing our business? That doesn't make much sense," he said.
But he admitted he might change his mind when the girls are older.
"We'll see how they feel in four years," he said.